Are there any legs that I will not be able to find a flight? Also, is there an orbitz/priceline aggregator website for all of the regional airlines where I can check this? And do the SE Asian airlines penalize heavily for last-minute tickets like US carriers do?

Last two legs are a good option if you get a flight that allows a stopover for several days in either Phnom Penh or Siem Reap. Stay flexible with the order of visiting Siem Reap and Phnom Penh. Most flights from HCMC to cambodia make stops in both places. Or the flight from Siem Reap/Phnom Penh to Bangkok might go via Phnom Penh/Siem Reap. So check these flights carefully before booking a ticket between SR and PP.

Not much choice regarding airlines and sites like orbiz are useless for that. Best to check websites for Airasia, Jetstar, Vietnam airlines and Bangkok Airways directly. Those are the only (budget) players on those routes